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Early surrender and the distribution of policy reserves

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  • Tsai, Chenghsien
  • Kuo, Weiyu
  • Chen, Wei-Kuang

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  • Tsai, Chenghsien & Kuo, Weiyu & Chen, Wei-Kuang, 2002. "Early surrender and the distribution of policy reserves," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 429-445, December.
  • Handle: RePEc:eee:insuma:v:31:y:2002:i:3:p:429-445
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    References listed on IDEAS

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    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    2. Grosen, Anders & Lochte Jorgensen, Peter, 2000. "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, pages 37-57.
    3. Beekman, John A. & Fuelling, Clinton P., 1990. "Interest and mortality randomness in some annuities," Insurance: Mathematics and Economics, Elsevier, pages 185-196.
    4. Marceau, Etienne & Gaillardetz, Patrice, 1999. "On life insurance reserves in a stochastic mortality and interest rates environment," Insurance: Mathematics and Economics, Elsevier, pages 261-280.
    5. Parker, Gary, 1994. "Limiting Distribution of the Present Value of a Portfolio," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 24(01), pages 47-60, May.
    6. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    7. Outreville, J. Francois, 1990. "Whole-life insurance lapse rates and the emergency fund hypothesis," Insurance: Mathematics and Economics, Elsevier, pages 249-255.
    8. David F. Babbel & Anthony M. Santomero, 1997. "Risk Management by Insurers: An Analysis of the Process," Center for Financial Institutions Working Papers 96-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Parker, Gary, 1996. "A portfolio of endowment policies and its limiting distribution," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 26(01), pages 25-33, May.
    10. De Schepper, A. & Goovaerts, M., 1992. "Some further results on annuities certain with random interest," Insurance: Mathematics and Economics, Elsevier, pages 283-290.
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    Cited by:

    1. Berdin, Elia & Gründl, Helmut & Kubitza, Christian, 2017. "Rising interest rates, lapse risk, and the stability of life insurers," ICIR Working Paper Series 29/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    2. Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016. "Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-36, November.
    3. Valdez, Emiliano A. & Vadiveloo, Jeyaraj & Dias, Ushani, 2014. "Life insurance policy termination and survivorship," Insurance: Mathematics and Economics, Elsevier, pages 138-149.
    4. Xavier Milhaud & Marie-Pierre Gonon & Stéphane Loisel, 2010. "Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise," Post-Print hal-00502851, HAL.

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